Getting adjusted price information from Yahoo! Finance API for multiple symbols in one call

Question

I would like to get the adjusted price (adjusting for splits and dividends) for a group of stock symbols using Yahoo! Finance. It looks like the historical prices call is limited to one symbol at a time. Could please let me know if there is a way to get multiple symbols in one call?

I would like to get this data so I can do some back testing on that data. Since I may require quite a few symbols (say 500-1000), it will be easier if I can make just a few batch calls to Yahoo!'s servers instead of making one call per symbol everyday.

Another way of getting the adjusted price is to use their daily stock price api and adjust it manually using dividend and splits information (they allow multiple symbols for their daily stock quotes). Unfortunately I cannot find any way to get splits information from the http call (guessing based on 50% or 200% is one option but if you deal with penny stocks, this can be dangerous and cannot figure out uneven splits). Also, the dividend information returned by it is not easy to decode. They seem to be returning the total over 4 quarters and the dividend date doesn't really correspond with the actual dividend date based on the historical price. The various options for the call can be found here: http://www.gummy-stuff.org/Yahoo-data.htm

Any suggestions on getting adjusted price for multiple symbols? Or Am I unnecessarily worrying about making 100s of calls to Yahoo! everyday? Ideally I would like to download all the required data within a couple of hours each day - that would be 10-20 calls per minute. Is that too much? I couldn't find any documentation on the permissible number of requests per second.

I am open to other places where I can get similar data. However, since I am just trying to learn the basics of quant trading and not trade, I would prefer free downloads.

Thanks -e

Answer 1

I am not sure which language you are using but I have a sample in C#. I think it will give you the idea at least or may be help some one else

 private string BASE_URL = "http://query.yahooapis.com/v1/public/yql?q=" + "select%20*%20from%20yahoo.finance.quotes%20where%20symbol%20in%20({0})" + "&env=store%3A%2F%2Fdatatables.org%2Falltableswithkeys";

Collection<Quote> quotes;

string symbolList = String.Join("%2C", quotes.Select(w => "%22" + w.Symbol + "%22").ToArray());
string url = string.Format(BASE_URL,symbolList);

XDocument doc = XDocument.Load(url);
Parse(quotes,doc);   

What we are doing here is appending "," to each array item then passing that symbol list to yahoo. I have successfully fetched prices for 700 symbols in each call. Hitting yahoo servers for each ticker is a pain. I fetch stock prices for all of 6500+ tickers everyday. Earlier it use to take 3 hours now it is less than 2 mins.....sweet

Source link for that code is here - http://www.jarloo.com/get-yahoo-finance-api-data-via-yql/

P.S. Please get a api key to work smoothly. The above url is a public link where tables are timed out most of the time. Once you get an api key then your url will be (minus "public")

http://query.yahooapis.com/v1/yql

Answer 2

This is an old question, but I did find a source where split data is available. Not sure how comprehensive these announcements are though:

http://biz.yahoo.com/c/09/s1.html

In the url, the "09" part is the year (2009), and the "s1" part is the month (s1 = Jan, s2 = Feb., s3 = Mar., etc.)

It isn't a nice clean CSV, but the format of the page is consistent and should be parseable. Just make a query each day for the current month, parse the page, and process any splits that you didn't see the day before.

ETA: And another source (probably less reliable than Yahoo, but can be queried by ticker):

http://getsplithistory.com/